"Local Volatility, Conditioned Diffusions, and Varadhan's Formula."

Stefano De Marco, Peter K. Friz (2018)

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DOI: 10.1137/16M1092313

access: closed

type: Journal Article

metadata version: 2018-07-23

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Stefano De Marco, Peter K. Friz:
Local Volatility, Conditioned Diffusions, and Varadhan's Formula. SIAM J. Financial Math. 9(2): 835-874 (2018)

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